Finite element and discontinuous Galerkin methods with perfect matched layers for American options
DOI10.4208/NMTMA.2017.0020zbMATH Open1399.91142OpenAlexW2755462318MaRDI QIDQ3176046FDOQ3176046
Authors: Haiming Song, Kai Zhang, Yu-Tian Li 
Publication date: 18 July 2018
Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/nmtma.2017.0020
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American optiondiscontinuous Galerkin methodfinite element methodperfectly matched layeroptimal exercise boundary
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Volterra integral equations (45D05) Stopping times; optimal stopping problems; gambling theory (60G40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Cited In (13)
- The discontinuous Galerkin method for discretely observed Asian options
- Semi-implicit FEM for the valuation of American options under the Heston model
- Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing
- An efficient numerical method for the valuation of American multi-asset options
- A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
- An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
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- Primal-Dual Active Set Method for American Lookback Put Option Pricing
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- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
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